Sökning: "Smooth transition autoregressive"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Smooth transition autoregressive.

1. 1. Investigating Non-Linear Exchange Rate Pass-Through in Sweden: Estimates from a Logistic Smooth Transition Vector Autoregressive Model

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Gabriella Linderoth; Malte Meuller; [2024]
   Nyckelord :Exchange Rate Pass-Through; Sweden; Inflation; Non-Linear; Logistic Smooth Transition Vector Autoregressive;

   Sammanfattning : This paper provides novel estimations of a non-linear exchange rate pass-through dependent on inflation for Sweden using a logistic smooth transition vector autoregressive model. The model enables smooth transitions between high and low inflation regimes, mirroring the dynamics of the economy and capturing regime-specific effects. LÄS MER

3. 2. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Oliver Krek; [2018]
   Nyckelord :Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

   Sammanfattning : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. LÄS MER

4. 3. Testing for Unit Root Processes for South American Countries

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Stefan Emmoth; Nicklas Nordfors; [2016-02-18]
   Nyckelord :;

   Sammanfattning : In this thesis, we aim to test the Purchasing Power Parity (PPP) hypothesis on data from ten di erent South American countries, using di erent statistical methods. We begin by testing the hypothesis using the standard linear tests augmented Dickey-Fuller and Phillips-Perron. LÄS MER

5. 4. Non-linear prediction in the presence of macroeconomic regimes

   Master-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Emmanuel Latim Okumu; [2016]
   Nyckelord :Markov Switching; Regime Switching; Smooth-transition; Time-varying parameters; Threshold model;

   Sammanfattning : This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. LÄS MER

7. 5. Nonlinearity In Exchange Rates : Evidence From African Economies

   Master-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Ndey Isatou Jobe; [2016]
   Nyckelord :Nominal Exchange Rates; Linear Models; Random Walk Model; Smooth Transition Autoregressive Model; Linearity Tests; Unit Root Tests; Forecast Evaluation.;

   Sammanfattning : In an effort to assess the predictive ability of exchange rate models when data on African countries is sampled, this paper studies nonlinear modelling and prediction of the nominal exchange rate series of the United States dollar to currencies of thirty-eight African states using the smooth transition autoregressive (STAR) model. A three step analysis is undertaken. LÄS MER